Groupe d’études et de recherche en analyse des décisions


Algorithmic Parameter Optimization of the DFO Method with the OPAL Framework

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We introduce the OPAL framework in which the identification of good algorithmic parameters is interpreted as a black box optimization problem whose variables are the algorithmic parameters. In addition to the target algorithm, the user of the framework must supply or select two components. The first is a set of metrics defining the notions of acceptable parameter values and of performance of the algorithm. The second is a collection of representative sets of valid input data for the target algorithm. OPAL may be applied to virtually any context in which parameter tuning leads to increased performance. The black box optimization problem is solved by way of a direct-search method which provides local optimality guarantees and offers a certain flexibility. We illustrate its use on a parameter-tuning application on the DFO method from the field of derivative-free optimization.

, 20 pages